[pt] Este trabalho analisa a construção dos padrões regulatórios bancários internacionais a partir de uma perspectiva de Relações Internacionais. Tem como objeto a transformação regulatória observada em Basileia III no pós-crise 2007/2008, como forma de acessar a problemática mais ampla do Poder Estrutural no Sistema Monetário Internacional. A hipótese que guia o estudo é a de que apesar da regulação bancária internacional ser concernente ao poder estrutural do dólar há espaço de atuação política aos países emergentes/periféricos, na dimensão institucional internacional e ideacional. Analisa-se o sistema monetário internacional a partir de seus elementos constitutivos e os processos políticos, econômicos e ideacionais que conformam a história da regulação bancária internacional. Este tema representa, desde a perspectiva dos países periféricos, um pouco problematizado espaço de política internacional. Parte-se de análise epistemológica sobre o campo para realizar análise teórica sobre o Poder Estrutural e sua aplicação à análise do SMI. Considera-se o surgimento da regulação bancária internacional em meados dos anos 1970 e procura-se explorar como os marcos regulatórios acordados no BCBS (Basel Committee on Banking Supervision) foram atingidos em relação aos eventos de crise que marcaram o sistema monetário internacional a partir dos anos 1980. Exploram-se, nesse sentido, os condicionantes estruturais e locais que levaram ao surgimento dos acordos de Basileia I, II e III. As conclusões consolidadas pelo estudo revelam a importância dos elos ideacionais e da atuação institucional advocatícia para a definição dos padrões de regulação bancária internacional e demonstram a possibilidade de um espaço político para atuação dos países mal posicionados em relação à hierarquia monetária internacional. / [en] This dissertation aims to analyze the construction of international banking regulatory standards from an International Relations perspective. Its object is the regulatory transformation observed in Basel III in the post-2007/2008 crisis as a way of accessing the broader problem of Structural Power in the International Monetary System and the political space available to peripheral countries in this context. The hypothesis that guide the study is that even though international banking regulation is aligned to US structural power, there are political spaces for action for emerging/peripheral countries in the international institutional and ideational dimensions. Therefore, it analyzes the international monetary system from its constituent elements and the political, economic and ideational processes that have shaped international banking regulation. This topic represents an under problematized space of international relations. The work departs from an epistemological analysis and follows through a theoretical analysis of Structural Power and its application towards the International Monetary System. It then considers the emergence of international banking regulation in the mid-1970s and seeks to explore how regulatory frameworks agreed upon the BCBS (Basel Committee on Banking Supervision) were achieved in relation to crisis events that have characterized the international monetary system since the 1980s. In this sense, the structural and local constraints that led to the emergence of the Basel I, II and III agreements are explored. The conclusions consolidated by the study reveal the importance of ideational links and institutional action for standards definition in international banking regulation and suggest a political space for action by countries poorly positioned in the international monetary hierarchy.

Diese Arbeit umfasst drei unabhängige Aufsätze, welche die Auswirkungen verschiedener regulatorischer Maßnahmen auf das Bankenrisiko und/oder die Finanzstabilität untersuchen. Zunächst wird der Einfluss von Eigenkapitalanforderungen auf den Zusammenhang zwischen Bankgröße und Volatilität analysiert. Unsere Panel-Datenanalyse zeigt, dass strengere Eigenkapitalanforderungen den Nexus zwischen Größe und Volatilität schwächt. Große Banken haben, ceteris paribus, einen weniger volatilen Kreditbestand, wenn sie strengerer Kapitalregulierung ausgesetzt sind. Gemäß dem Granularitätskonzept kann dies ebenfalls die makroökonomische Stabilität erhöhen. Als Nächstes untersuche ich, ob MiFID II die frühzeitige Informationsweitergabe über Änderungen von Analystenempfehlungen an einzelne Anleger, genannt Tipping, reduziert hat. Die Ergebnisse zeigen, dass die absoluten Renditen und Handelsvolumina einen Tag vor Veröffentlichung einer Hoch- oder Herabstufung vor und nach Inkrafttreten von MiFID II signifikant ansteigen. Da die Aktienkurse am Veröffentlichungstag weiter steigen bzw. fallen, profitieren ausgewählte Anleger trotz der regulatorischen Änderung weiterhin von einem Informationsvorteil. Dies hat vermutlich negative Auswirkungen auf den Finanzmarkt insgesamt. Zuletzt untersuche ich wie sich die Ausgabe von Contingent Convertible (CoCo) Anleihen, die als regulatorisches zusätzliches Kernkapital (AT1) geltend gemacht werden können, auf das Bankenrisiko auswirkt. Meine Analyse zeigt, dass AT1-CoCo-Anleihen ein bis drei Jahre nach Ausgabe zu einem signifikant höheren Bankenrisiko führen. Übereinstimmend mit theoretischen Studien deutet dies darauf hin, dass CoCo-Anleihen ihr Potenzial zur Stärkung der Eigenkapitalbasis der Banken durch die regulatorischen Anforderungen genommen wurde. / This thesis comprises three independent essays evaluating the impact of different regulatory policies on bank risk and/or financial stability. First, we examine the effects of capital regulation on the link between bank size and volatility. Our panel data analysis reveals that more stringent capital regulation weakens the size-volatility nexus. Hence, large banks show, ceteris paribus, lower loan portfolio volatility when facing more stringent capital regulation. According to the granularity concept, that can increase macroeconomic stability. Next, I evaluate if MiFID II reduced the early information disclosure on analyst recommendation changes to selected investors - so-called tipping. I find absolute returns and turnover rise significantly on the day preceding the up- or downgrade release before and after MiFID II became law. Given that stock prices move further in the revision direction on publication day, selected investors continue to profit from an informational advantage, notwithstanding the regulatory change. That is likely harmful to the financial market overall. Lastly, I examine the impact of issuing contingent convertible (CoCo) bonds that qualify as regulatory additional tier 1 (AT1) capital on bank risk. My treatment effects analysis reveals that issuing AT1 CoCo bonds results in significantly higher risk-taking one to three years after the issuance. That is in line with previous theoretical studies suggesting that regulators have stripped CoCo bonds of their potential to strengthen the banks’ capital bases.

2007年美國次級房貸違約衍生國際金融市場之流動性危機，造成金融商品與資產價格下跌，銀行業損失擴大，流動性危機擴散成為健全性危機。導致2008年9月雷曼公司倒閉，引發全球金融經濟危機，蔓延到全世界，百年難得一見。歸納金融危機的緣由，主要為英美大型金融機構利用國際監理裁定，進行營運套利，並從事高槓桿操作，無視於資本適足性的不足。 此外，金融機構的流動性未能確保，表外交易特別是店頭衍生性交易，揭露不透明，監理未能落實。導致金融市場機能失序，顯見國際金融監理核心基準的巴賽爾資本協定，已無法因應金融創新與金融環境的巨變。 為處理本次全球金融危機所凸顯的市場失靈（market failure），解決銀行部門的脆弱性問題，因此，2010年11月12日G20各國領袖通過『新巴塞爾協議』(Basel III)，提高銀行資本適足率與流動性的標準。 本文係以國內某家公營銀行在後金融海嘯『新巴塞爾協議』(Basel III)，提高銀行資本提列要求與加強銀行流動性管理的 Basel III規範， 將自 2013 年起分階段逐步實行，2019 年起則正式全盤施行；屆時更為嚴格的規定，可能會促使銀行改變投資組合、影響銀行的準備金需求與流動性管理策略，強化自有資本比率規範，並訂定槓桿比率、流動性覆蓋比率等相關規定，對其資本適足性及流動性要求的挑戰與對策。

Diploma thesis "Optimization capital charges in VaR model utilizing dynamic risk management strategies" deals with banks opportunity to reduce Basel capital requirements via estimation volatility in VaR model for separate time periods differently. It analyses current crisis, its sources, process, but especially its influence of new worldwide accepted regulatory standards, which require nearly doubled regulatory capital. Regarding high impact to industry return on equity the thesis discusses the possibility of dynamic capital optimization based on alternating conservative and aggressive risk management strategies. Empirical part of thesis tests outcomes of volatility modeling based on historical quotes of six European indexes since 2003, which are classified by volatility levels and broken down into several time periods. We suggest approach which enables financial institutions to reduce the impact of new Basel rules on their ROE, while they meet all VaR model conditions defined by the regulator. However, there are also negative consequences of this lowering level of capital represented by increasing failure rates of models. Although banks are able by suggested approach to achieve capital reduction by 20 percent, they are in the same time forced to use one of a very aggressive strategies. Dynamic...

Notre intérêt dans cette thèse est de combiner les différentes techniques de mesure du risque opérationnel dans les secteurs financiers, et on s'intéresse plus particulièrement aux conséquences du risque d'estimation dans les modèles, qui est un risque opérationnel particulier. Nous allons présenter les concepts mathématiques et actuariels associés ainsi qu'une application numérique en ce qui concerne l'approche de mesure avancée comme Loss Distribution pour calculer l'exigence en capital. En plus, on se concentre sur le risque d'estimation illustré avec l'analyse des scénarios de l'opinion d'experts en conjonction avec des données de pertes internes pour évaluer notre exposition aux évènements de gravité. Nous concluons cette première partie en définissant une technique de mise l'échelle sur la base de (MCO) qui nous permet de normaliser nos données externes à une banque locale Libanaise.Dans la deuxième partie, on donne de l'importance sur la mesure de l'erreur induite sur le SCR par l'erreur d'estimation des paramètres, on propose une méthode alternative pour estimer une courbe de taux et on termine par attirer l'attention sur les réflexions autour des hypothèses de calcul et ce que l'on convient de qualifier d'hypothèse "cohérente avec les valeurs de marché" serait bien plus pertinente et efficace que la complexification du modèle, source d'instabilité supplémentaire, ainsi mettre en évidence le risque d'estimation qui est lié au risque opérationnel et doit être accordé beaucoup plus d'attention dans nos modèles de travail / Our interest in this thesis is first to combine the different measurement techniques for operational risk in financial companies, and we highlight more and more the consequences of estimation risk which is treated as a particular part of operational risk. In the first part, we will present a full overview of operational risk, from the regulatory laws and regulations to the associated mathematical and actuarial concepts as well as a numerical application regarding the Advanced Measurement Approach, like Loss Distribution to calculate the capital requirement, then applying the Extreme Value Theory. We conclude this first part by setting a scaling technique based on (OLS) enabling us to normalize our external data to a local Lebanese Bank. On the second part, we feature estimation risk by first measuring the error induced on the SCR by the estimation error of the parameters, to having an alternative yield curve estimation and finishing by calling attention to the reflections on assumptions of the calculation instead of focusing on the so called hypothesis "consistent with market values", would be more appropriate and effective than to complicate models and generate additional errors and instability. Chapters in this part illustrate the estimation risk in its different aspects which is a part of operational risk, highlighting as so the attention that should be given in treating our models

Our interest in this thesis is first to combine the different measurement techniques for operational risk in financial companies, and we highlight more and more the consequences of estimation risk which is treated as a particular part of operational risk. In the first part, we will present a full overview of operational risk, from the regulatory laws and regulations to the associated mathematical and actuarial concepts as well as a numerical application regarding the Advanced Measurement Approach, like Loss Distribution to calculate the capital requirement, then applying the Extreme Value Theory. We conclude this first part by setting a scaling technique based on (OLS) enabling us to normalize our external data to a local Lebanese Bank. On the second part, we feature estimation risk by first measuring the error induced on the SCR by the estimation error of the parameters, to having an alternative yield curve estimation and finishing by calling attention to the reflections on assumptions of the calculation instead of focusing on the so called hypothesis "consistent with market values", would be more appropriate and effective than to complicate models and generate additional errors and instability. Chapters in this part illustrate the estimation risk in its different aspects which is a part of operational risk, highlighting as so the attention that should be given in treating our models

Submitted by Karina Cyganczuk Goes (karinagoes@uol.com.br) on 2014-06-06T20:34:21Z No. of bitstreams: 1 Estrutura de Capital e CoCos sob a otica de Basileia III - Um estudo empirico sobre o Brasil.pdf: 699008 bytes, checksum: 8646f039c659f7f9e7a793f98d9b1bf5 (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2014-08-19T14:19:50Z (GMT) No. of bitstreams: 1 Estrutura de Capital e CoCos sob a otica de Basileia III - Um estudo empirico sobre o Brasil.pdf: 699008 bytes, checksum: 8646f039c659f7f9e7a793f98d9b1bf5 (MD5) / Made available in DSpace on 2014-08-19T16:15:05Z (GMT). No. of bitstreams: 1 Estrutura de Capital e CoCos sob a otica de Basileia III - Um estudo empirico sobre o Brasil.pdf: 699008 bytes, checksum: 8646f039c659f7f9e7a793f98d9b1bf5 (MD5) Previous issue date: 2014-05-07 / It is a fact that banks worldwide maintain excess regulatory capital, either to minimize cost of recapitalization or to mitigate risks of financial difficulties. But only after the 2007/2008 crisis, the quality of that excess capital has been important to regulators, who proposed a new capital structure in the Basel III agreement, creating new hybrid bonds, the contingent convertible, whose main objective is to recapitalize the bank automatically in times of financial difficulties. In this context, we analyzed the 10 largest banks in Brazil in total assets, comparing the structure of each bank with straight bond, against the same structure with contingent convertible under the Basel III rules and without regulations or when they are fragile. The evidence suggests that, by the model, Brazilian banks were better capitalized with contingent convertible, than straight bond under Basel III rules, but in unregulated environments or where they are fragile, contingent convertibles induce increased risk and may lead to new financial crisis. / É fato, que os bancos do mundo inteiro mantêm excesso de capital regulatório, seja para minimizar custos de recapitalização, seja para mitigar riscos de dificuldades financeiras. Mas somente depois da crise de 2007/2008, a qualidade desse capital em excesso, passou a ganhar importância entre os órgãos reguladores, que propuseram uma nova estrutura de capital no Acordo de Basiléia III, criando novos instrumentos híbridos de capital e dívidas, os contingentes conversíveis, cujo principal objetivo é, recapitalizar o banco automaticamente em momentos de dificuldades financeiras. Neste contexto, analisamos os 10 maiores bancos do Brasil, em total de ativos, comparando a estrutura de cada banco com dívidas subordinadas, contra a mesma estrutura com contingentes conversíveis, sob as regra de Basiléia III e, em ambientes sem regulamentações ou quando estas são frágeis. As evidências sugerem que, segundo o modelo utilizado, os bancos brasileiros estariam mais bem capitalizados com contingentes conversíveis, do que com dívidas subordinadas sob as regras de Basiléia III, mas em ambientes sem regulamentação ou quando estas são frágeis, os contingentes conversíveis induzem o aumento de riscos, podendo levar a novas crises financeiras.

Submitted by Ronaldo Medrado Helpe (ronaldo.helpe@gmail.com) on 2018-01-05T14:28:46Z No. of bitstreams: 1 Financas_AFD-Helpe-projeto_vFinal.pdf: 1604607 bytes, checksum: 1cdf4c588e2dd515324016561da5baa4 (MD5) / Approved for entry into archive by Mayara Costa de Sousa (mayara.sousa@fgv.br) on 2018-01-10T23:17:12Z (GMT) No. of bitstreams: 1 Financas_AFD-Helpe-projeto_vFinal.pdf: 1604607 bytes, checksum: 1cdf4c588e2dd515324016561da5baa4 (MD5) / Made available in DSpace on 2018-01-11T13:40:17Z (GMT). No. of bitstreams: 1 Financas_AFD-Helpe-projeto_vFinal.pdf: 1604607 bytes, checksum: 1cdf4c588e2dd515324016561da5baa4 (MD5) Previous issue date: 2017-12-11 / A iminência da entrada em vigor das regras estabelecidas pelo acordo da Basileia III, motivado pela crise do subprime em 2009, desperta preocupação ao redor do mundo, inspirando inúmeros estudos que tentam antecipar potenciais efeitos desta regulamentação sobre a economia (BERROSPIDE e EDGE, 2010). O Brasil vive uma das piores recessões de sua história e as provisões para créditos ruins nos balanços dos bancos se avolumam, gerando um aumento do estoque de créditos tributários. Em linha com diversos estudos já realizados, este trabalho explorou efeitos decorrentes da implantação do acordo da Basileia III em relação ao capital mínimo regulatório exigido, com o diferencial de dar ênfase ao impacto da exclusão dos créditos tributários da base de capital dos bancos. O objetivo foi identificar se a restrição de capital trazida por tais deduções, no âmbito do novo acordo, poderia impactar o volume de créditos concedidos pelos bancos, impactando, portanto, o processo de recuperação econômica do Brasil. Verificou-se, através de uma pesquisa exploratória, que abordou uma amostra relevante de 38 bancos, que os avanços dos ajustes prudenciais de créditos tributários terão alto impacto sobre a base de capital das instituições financeiras. Tais deduções, geraram impactos em 28 bancos da amostra, chegando a representar mais de 100% da necessidade agregada de capital principal e 59% da necessidade agregada de capital nível 1 dos bancos analisados. Do ponto de vista de influência das deduções dos créditos tributários sobre as carteiras de crédito dos bancos, foi possível constatar que o impacto tende a ser pequeno, chegando a 1,5% de redução sobre o total da carteira de crédito dos bancos analisados. Essa conclusão, apesar de parecer incoerente à primeira vista, justifica-se pela capacidade dos bancos em atrair mais capital, em função de suas rentabilidades acima do custo de capital próprio. Essa análise nos permitiu confirmar a relevância dos créditos tributários das instituições financeiras sobre suas políticas de gestão de capital e verificar que as deduções de créditos tributários, apesar de representar restrições importantes de capital, não deverão impactar de forma relevante o crescimento das carteiras de crédito no sistema financeiro brasileiro. / The imminence of fully application of the rules established by Basel III, motivated by the subprime crisis in 2009, arouses concern around the world, motivating several papers trying to anticipate potential effects of this regulation (BERROSPIDE e EDGE, 2010). Brazil is facing one of the worst recessions in its history and the increase in provisions for bad credits, led to an increase in tax credits in the banks' balance sheets in Brazil. Aligned with several studies, this research explored the effects arising from the implementation of Basel III agreement in relation to minimum regulatory capital, with the differential of emphasizing the impact of the exclusion of tax credits from the capital base of banks. The objective was to identify if the restriction of capital brought by Tax Credits under the new agreement could impact the volume of credits granted by the banks, thus impacting the process of economic recovery in Brazil. It was verified through a relevant sample of 38 banks that tax credits will have a high impact on the banks' capital base. These deductions generated impacts on 28 sample banks, accounting for more than 100% of the aggregate principal capital requirement and 59% of the aggregate capital requirement of the banks analyzed. From the point of view of the influence of tax credit deductions on banks' credit portfolios, it was possible to verify that the impact tends to be small, reaching a reduction of 1.5% on the total loan portfolio of the banks analyzed. This conclusion, despite seeming at first glance to be inconsistent, is justified by the ability of banks to attract more capital, due to their profitability above the cost of equity. This analysis allowed us to confirm the relevance of tax credits of financial institutions on their capital management policies and to verify that deductions of tax credits, despite representing significant capital constraints, should not have a significant impact on the growth of credit portfolios in Brazil.

Comme un déterminant de la survie d'une banque durant la crise financière de 2007/2008, la liquidité dans le secteur bancaire a depuis récemment représenté un défi pour les communautés financières et universitaires. Les trois articles présentés dans cette thèse portent sur les deux principales facettes de la liquidité dans le secteur bancaire: la détention d'actifs liquides (à savoir, la trésorerie et les ressources assimilées) et le processus de création de la liquidité dans les banques utilisé pour financer des prêts. Comme on le verra dans les articles, ces deux aspects de la liquidité peuvent être considérés comme les deux faces d'une même pièce. Je reconnais que la liquidité dans le secteur bancaire est liée à la création monétaire; cependant, cette thèse se concentre sur les deux précités aspects de la liquidité. Tout d'abord, cette introduction présente comment le concept de la liquidité a évolué dans la pensée économique dominante. La seconde partie considère le renouveau de la détention de cash qui a été observée depuis la crise financière de 2007/2008 dans le secteur bancaire. La troisième section examine les propriétés de liquidité. La quatrième section explore ce que nous ne savons pas sur la liquidité. La cinquième section identifie et sélectionne trois problèmes fondamentaux relatifs à liquidité et qui sont analysés dans les trois articles présentés dans thèse. La sixième et dernière section présente la méthodologie utilisée dans les trois articles pour répondre à ces questions. Chapitre 1 : “Why do banks hold cash ?". La détention de cash et assimilé cash par les banques détiennent est devenue un enjeu majeur depuis la crise financière de 2008 qui a démontré que la trésorerie retenue est un déterminant majeur dans les chances de survie des banques. Cet article examine les déterminants de la détention de cash banque en utilisant des données internationales pour la période 1981-2014. Sur la base d'un grand échantillon, nous documentons une augmentation séculaire de la détention de cash par les banques pendant une période de 35 ans. Nous apportons la preuve que la nature optimale dynamique de la détention de cash est rejetée dans le secteur bancaire. Ces résultats contrastent avec le secteur non bancaire, où la nature optimale dynamique de trésorerie est observée. Chapitre 2: “Does an increase in capital negatively impact banking liquidity creation?”. A partir d'un ensemble de données composé d'un panel de 940 banques cotées des pays européens, américains et asiatiques, cet article documente l'évolution de la création de la liquidité bancaire au cours d'une période de 35 ans (1981-2014). La preuve empirique confirme que les niveaux de risque et de capital jouent un rôle significatif et négatif dans la création de liquidité par les banques. Dans l'ensemble, les effets négatifs de l’augmentation de capital sur la création de la liquidité bancaire sont plus importants que les effets positifs sur la gestion du risque correspondant, ce qui suggère que les exigences de fonds propres imposées pour soutenir la stabilité financière affectent négativement la création de liquidités. Ces résultats ont de larges implications pour les régulateurs bancaires. Chapitre 3: “Positive effects of Basel III on banking liquidity creation”. Ce document évalue l'effet du cadre réglementaire de Bâle III sur la création de liquidité bancaire. Les résultats sont basés sur un ensemble de données de panel de banques américaines qui représentent environ 60% des prêts et dépôts américains sur une période de 7 ans (2009-2015), en plus de différence dans la différence et les méthodes de survie standard. Tous les composants de Bâle III pris ensemble, il existe des preuves empiriques que Bâle III a un effet positif sur la création de liquidité bancaire sur le marché américain, en particulier pour les grandes banques. Ces résultats ont de larges implications pour les régulateurs bancaires. / As one determinant of a bank’s survival during the financial crisis of 2007-2008, liquidity in the banking sector presents a challenge for the financial and academic communities and has recently become a central point of interest. The three articles presented in this thesis focus on the two main facets of liquidity in the banking sector: the holding of liquid assets (i.e., cash and assimilated resources) and the process of liquidity-creation in banks used to fund loans. As will be discussed in the articles, these two aspects of liquidity can be viewed as two sides of the same coin. I acknowledge that liquidity in banking is linked to the creation of money; however, this thesis focuses on the aforementioned two aspects of liquidity. First, this section presents how ideas about liquidity in the banking sector have evolved in mainstream economic thought. Second, it considers the revival of cash-holding that has been observed since the financial crisis of 2007-2008. Third, it discusses the properties of liquidity. Fourth, it explores what we do not know about liquidity. Fifth, it identifies the fundamental issues analyzed in the three articles. Finally, it presents the methodology used in the articles to address these issues. Chapter1: “Why do banks hold cash ?”. This paper investigates the determinants of bank cash holding by using international data for the period 1981-2014. The results do not seem to provide support for the substitutability hypothesis regarding the substitutive relation between cash and debt levels. Further, using the GMM-system estimation method, we find no support for the dynamic optimal cash model, suggesting that cash management in the banking sector is bounded by number of constraints that make it difficult for the agents to optimize their utility. Chapter 2: “Does an increase in capital negatively impact banking liquidity creation?”. From a dataset composed of a panel of 940 listed banks based in European, American and Asian countries, this paper documents the evolution of bank liquidity creation over a 35-year period (1981-2014). The empirical evidence confirms that risk and equity levels play a significant and negative role. Overall, the negative effects of equity increases on bank liquidity creation are more significant than corresponding positive effects on risk management, suggesting that capital requirements imposed to support financial stability negatively affect liquidity creation. These findings have broad implications for policymakers. Chapter 3: “Positive effects of Basel III on banking liquidity creation”. This paper estimates the effect of the Basel III regulatory framework on banking liquidity creation. The results are based on a panel data set of U.S. banks that represent approximately 60% of U.S. loans and deposits over a 7-year period (from 2009 to 2015) in addition to difference-in-difference and standard survival methods. All components of Basel III taken together, there is empirical evidence that Basel III has a positive effect on banking liquidity creation in the US market in particular for major banks. These findings have broad implications for policy makers.

This thesis assesses UK banking liquidity regulation and supervision and the Basel liquidity requirements, and models banks' liquidity risk. The study reveals that the FSA's risk-assessment framework before 2008 was too general without specifically considering banks' liquidity risk (as well as its failures on Northern Rock). The study also lists the limitations of the FSA's banking liquidity regimes before 2008. The thesis reviews whether the FSA's new liquidity regimes after 2008 would have coped with UK banks' liquidity risks if they have been applied properly. The fundamental changes in the FSA's liquidity supervision reflect three considerations. First, it introduces a systemic control requirement by measuring individual fifirm's liquidity risk with a market-wide stress or combination of idiosyncratic and market-wide stresses. Second, it emphasizes the monitoring of business model risks and the capability of senior managers. Third, it allows both internal and external managers to access more information by increasing the liquidity reporting frequencies. The thesis also comments on the Basel Liquidity Principles of 2008 and the two Liquidity Standards. The Principles of 2008 represents a substantial revision of the Principles of 2000 and reflect the lessons of the fifinancial market turmoil since 2007. The study argues that the implementation of the sound principles by banks and supervisors should be fexible, but also need to be consistent to make sure they understand banks' liquidity positions quite well. The study also explains the composition of the Basel liquidity ratios as well as the side effect of Basel liquidity standards; for example, it will reshape interbank deposit markets and bond markets as a result of the increase in demand for `liquid assets' and `stable funding'. This thesis uses quantitative balance sheet liquidity analysis, based upon modified versions of the BCBS (2010b) and Moody's (2001) models, to estimate eight UK banks' short and long-term liquidity positions from 2005 to 2010 respectively. The study shows that only Barclays Bank remained liquid on a short-term basis throughout the sample period (2005-2010); while the HSBC Bank also proved liquid on a short-term basis, although not in 2008 and 2010. On a long-term basis, RBS has remained liquid since 2008 after receiving government support; while Santander UK also proved liquid, except in 2009. The other banks,especially Natwest, are shown to have faced challenging conditions, on both a short-term and long-term basis, over the sample period. This thesis also uses the Exposure-Based Cash-Flow-at-Risk (CFaR) model to forecast UK banks' liquidity risk. Based on annual data over the period 1997 to 2010, the study predicts that by the end of 2011, the (102) UK banks' average CFaR at the 95% confidence level will be -£5.76 billion, Barclays Bank's (Barclays') CFaR will be -£0.34 billion, the Royal Bank of Scotland's (RBS's) CFaR will be -£40.29 billion, HSBC Bank's (HSBC's) CFaR will be £0.67 billion, Lloyds TSB Bank's (Lloyds TSB's) CFaR will be -£4.90 billion, National Westminister Bank's (Natwest's) CFaR will be -£10.38 billion, and Nationwide Building Society's (Nationwide's) CFaR will be -£0.72 billion. Moreover, it is clear that Lloyds TSB and Natwest are associated with the largest risk, according to the biggest percentage difference between downside cash flow and expected cash flow (3600% and 816% respectively). Since I summarize a bank's liquidity risk exposure in a single number (CFaR), which is the maximum shortfall given the targeted probability level, it can be directly compared to the bank's risk tolerance and used to guide corporate risk management decisions. Finally, this thesis estimates the long-term United Kingdom economic impact of the Basel III capital and liquidity requirements. Using quarterly data over the period 1997:q1 to 2010:q2, the study employs a non-linear-in-factor probit model to show increases in bank capital and liquidity would reduce the probability of a bank crisis significantly. The study estimates the long-run cost of the Basel III requirements with a Vector Error Correction Model (VECM), which shows holding higher capital and liquidity would reduce output by a small amount but increase bank profitability in the long run. The maximum temporary net benefit and permanent net benefit is shown to be 1.284% and 35.484% of pre-crisis GDP respectively when the tangible common equity ratio stays at 10%. Assuming all UK banks also meet the Basel III long-term liquidity requirements, the temporary net benefit and permanent net benefit will be 0.347% and 14.318% of pre-crisis GDP respectively. Therefore, the results suggest that, in terms of the impact on output, there is considerable room to further tighten capital and liquidity requirements, while still providing positive effects for the United Kingdom economy.